MEMORANDUM

To File

From Division of Risk Strategy and Financial Innovation1

Re Information regarding activities and positions of participants in the single-name credit default swap market

Date 3152012

Introduction

The Division of Risk Strategy and Financial Innovation has completed an analysis of

single-name credit default swap transaction and position activity The first analysis is

based on a sample of all new risk transfer dollar-adjusted gold record transactions in

both corporate and sovereign single-name credit default swaps (CDS) submitted to the

Depository Trust and Clearing Corporationrsquos Trade Information Warehouse (DTCC-

TIW) between January 1 2011 and December 31 2011 (the sample period)2 The second

analysis is based on monthly position data in single-name CDS over the same sample

period and provided by DTCC-TIW

The analysis provides information that characterizes the level of trading activity and

positions in the credit default swap market It is intended to assist the Commission in the

development of final rules that further define the terms ldquosecurity-based swap dealerrdquo and

ldquomajor security-based swap participantrdquo in connection with the implementation of the

Dodd-Frank Act3 In part this information should help evaluate the impact of alternative

approaches (1) to implementing the de minimis exception to the ldquosecurity-based swap

dealerrdquo definition by quantifying under certain assumptions the number of persons who

1 This is a memo by the Staff of the Division of Risk Strategy and Financial Innovation of the US Securities and Exchange Commission The Commission has expressed no view regarding the analysis findings or conclusions contained herein2 Non-dollar denominated transactions are adjusted to US dollars at prevailing exchanges rates 3 See Further Definition of ldquoSwap Dealerrdquo ldquoSecurity-Based Swap Dealerrdquo ldquoMajor Swap Participantrdquo ldquoMajor Security-Based Swap Participantrdquo and ldquoEligible Contract Participantrdquo Exchange Act Release No 63452 75 FR 80174 (Dec 21 2010)

may be required to register as ldquosecurity-based swap dealersrdquo or ldquomajor security-based

swap participantsrdquo and (2) to evaluating the security-based swap activities and positions

of such persons 4

The memo is organized as follows Section I first discusses potential criteria which

when analyzed in combination with the single-name CDS dataset available from DTCC-

TIW may be indicative of dealer activity Next the section outlines the methodological

approach An analysis of each criterion based on 12-month aggregate gross notional

dollar value of single-name CDS transactions and illustrated by charts and tables follows

as well as an analysis of the effect of combining multiple criteria Section I concludes

with an analysis of transaction activity between counterparties and special entities

Section II provides an analysis of aggregate gross notional positions that may be relevant

to predicting the number of entities that need to determine whether they qualify as major

security-based swap participants Finally an appendix repeats the criteria analysis from

Sections I and 2 for index CDS

Section I ndash Information about possible dealing activity in the security-based swap

market

Higher levels of activity and exposure are likely to be highly correlated with dealing

activity However high levels of market activity do not necessarily reflect dealer activity

For this reason a number of alternative analyses are included in this section that consider

other criteria which may be indicative of dealer activity These criteria were developed

to most effectively utilize the data available As a result the criteria used may not reflect

all potential criteria that could be indicative of dealer activity or the criteria that may be

4 Although rules requiring counterparties to report security-based swap (SBS) transactions to a Swap Data Repository in accordance the Dodd Frank Act have been proposed they have not been adopted As a result the Commission does not yet have ready access to all SBS market transactions Nevertheless because the industry through DTCC began to provide infrastructure to the CDS market (the most developed component of the SBS market) several years ago we have access to and are able to analyze a large fraction of the SBS market Our analysis may understate activity levels in the SBS market because it does not include other types of SBS In addition there is a second source of understatement because our analysis is based only on single-name CDS transactions as opposed to all CDS transactions that may be SBS

2

used to identify dealer activity in the final rules The criteria used in this analysis include

the following

1 Whether an entity transacts with multiple counterparties As a general matter

entities engaged in dealing activity are likely to have more counterparties than

non-dealers Nevertheless to the extent that a market participant limits its activity

to the inter-dealer market it is possible to transact with relatively few

counterparties despite engaging in dealing activity Also some non-dealers may

maintain trading relationships with numerous dealers

2 Whether an entity transacts with multiple counterparties excepting those entities

recognized by ISDA as dealers5 This criterion reflects the expectation that

dealers are likely to have more non-dealer counterparties than the typical non-

dealer That is dealers are more likely to interact with non-dealers than would

other non-dealers Nevertheless this analysis has an analogous limitation to that

described in the first criterion

3 Whether an entityrsquos aggregate buy notional amount is within 45-55 of its

aggregate gross notional transactions To the extent that dealing is associated

with zero net exposure a dealerrsquos buying and selling activity should be largely

offsetting Hence total notional buying exposure should comprise roughly half of

the gross notional transaction activity However because an entity may buy and

sell credit protection for the same notional amount but on different reference

entities or indexes or with different maturity dates on the same reference entity a

flat order book could nevertheless reflect directional speculative trades

uncharacteristic of a dealer

4 Whether an entityrsquos aggregate number of buy orders are within 45-55 of its

aggregate number of transactions Using the same rationale as for criterion 3

dealing activity commensurate with dealer status should in general reflect an

offsetting number of buy and sell transactions However a possible limitation of

this criterion is that a dealer may offset large trades with a large number of

5 See httpwwwisdaorgresearchnotespdfConcentrationRN_4-10pdf httpwwwisdaorgc_and_apdfISDA-Operations-Survey-2010pdf and httpwwwrisknetrisk-magazinenews2127940g14-dealer-adds (discussing CDS market and participants in CDS market)

3

may be required to register as ldquosecurity-based swap dealersrdquo or ldquomajor security-based

swap participantsrdquo and (2) to evaluating the security-based swap activities and positions

of such persons 4

The memo is organized as follows Section I first discusses potential criteria which

when analyzed in combination with the single-name CDS dataset available from DTCC-

TIW may be indicative of dealer activity Next the section outlines the methodological

approach An analysis of each criterion based on 12-month aggregate gross notional

dollar value of single-name CDS transactions and illustrated by charts and tables follows

as well as an analysis of the effect of combining multiple criteria Section I concludes

with an analysis of transaction activity between counterparties and special entities

Section II provides an analysis of aggregate gross notional positions that may be relevant

to predicting the number of entities that need to determine whether they qualify as major

security-based swap participants Finally an appendix repeats the criteria analysis from

Sections I and 2 for index CDS

Section I ndash Information about possible dealing activity in the security-based swap

market

Higher levels of activity and exposure are likely to be highly correlated with dealing

activity However high levels of market activity do not necessarily reflect dealer activity

For this reason a number of alternative analyses are included in this section that consider

other criteria which may be indicative of dealer activity These criteria were developed

to most effectively utilize the data available As a result the criteria used may not reflect

all potential criteria that could be indicative of dealer activity or the criteria that may be

4 Although rules requiring counterparties to report security-based swap (SBS) transactions to a Swap Data Repository in accordance the Dodd Frank Act have been proposed they have not been adopted As a result the Commission does not yet have ready access to all SBS market transactions Nevertheless because the industry through DTCC began to provide infrastructure to the CDS market (the most developed component of the SBS market) several years ago we have access to and are able to analyze a large fraction of the SBS market Our analysis may understate activity levels in the SBS market because it does not include other types of SBS In addition there is a second source of understatement because our analysis is based only on single-name CDS transactions as opposed to all CDS transactions that may be SBS

2

used to identify dealer activity in the final rules The criteria used in this analysis include

the following

1 Whether an entity transacts with multiple counterparties As a general matter

entities engaged in dealing activity are likely to have more counterparties than

non-dealers Nevertheless to the extent that a market participant limits its activity

to the inter-dealer market it is possible to transact with relatively few

counterparties despite engaging in dealing activity Also some non-dealers may

maintain trading relationships with numerous dealers

2 Whether an entity transacts with multiple counterparties excepting those entities

recognized by ISDA as dealers5 This criterion reflects the expectation that

dealers are likely to have more non-dealer counterparties than the typical non-

dealer That is dealers are more likely to interact with non-dealers than would

other non-dealers Nevertheless this analysis has an analogous limitation to that

described in the first criterion

3 Whether an entityrsquos aggregate buy notional amount is within 45-55 of its

aggregate gross notional transactions To the extent that dealing is associated

with zero net exposure a dealerrsquos buying and selling activity should be largely

offsetting Hence total notional buying exposure should comprise roughly half of

the gross notional transaction activity However because an entity may buy and

sell credit protection for the same notional amount but on different reference

entities or indexes or with different maturity dates on the same reference entity a

flat order book could nevertheless reflect directional speculative trades

uncharacteristic of a dealer

4 Whether an entityrsquos aggregate number of buy orders are within 45-55 of its

aggregate number of transactions Using the same rationale as for criterion 3

dealing activity commensurate with dealer status should in general reflect an

offsetting number of buy and sell transactions However a possible limitation of

this criterion is that a dealer may offset large trades with a large number of

5 See httpwwwisdaorgresearchnotespdfConcentrationRN_4-10pdf httpwwwisdaorgc_and_apdfISDA-Operations-Survey-2010pdf and httpwwwrisknetrisk-magazinenews2127940g14-dealer-adds (discussing CDS market and participants in CDS market)

3

used to identify dealer activity in the final rules The criteria used in this analysis include

the following

1 Whether an entity transacts with multiple counterparties As a general matter

entities engaged in dealing activity are likely to have more counterparties than

non-dealers Nevertheless to the extent that a market participant limits its activity

to the inter-dealer market it is possible to transact with relatively few

counterparties despite engaging in dealing activity Also some non-dealers may

maintain trading relationships with numerous dealers

2 Whether an entity transacts with multiple counterparties excepting those entities

recognized by ISDA as dealers5 This criterion reflects the expectation that

dealers are likely to have more non-dealer counterparties than the typical non-

dealer That is dealers are more likely to interact with non-dealers than would

other non-dealers Nevertheless this analysis has an analogous limitation to that

described in the first criterion

3 Whether an entityrsquos aggregate buy notional amount is within 45-55 of its

aggregate gross notional transactions To the extent that dealing is associated

with zero net exposure a dealerrsquos buying and selling activity should be largely

offsetting Hence total notional buying exposure should comprise roughly half of

the gross notional transaction activity However because an entity may buy and

sell credit protection for the same notional amount but on different reference

entities or indexes or with different maturity dates on the same reference entity a

flat order book could nevertheless reflect directional speculative trades

uncharacteristic of a dealer

4 Whether an entityrsquos aggregate number of buy orders are within 45-55 of its

aggregate number of transactions Using the same rationale as for criterion 3

dealing activity commensurate with dealer status should in general reflect an

offsetting number of buy and sell transactions However a possible limitation of

this criterion is that a dealer may offset large trades with a large number of

5 See httpwwwisdaorgresearchnotespdfConcentrationRN_4-10pdf httpwwwisdaorgc_and_apdfISDA-Operations-Survey-2010pdf and httpwwwrisknetrisk-magazinenews2127940g14-dealer-adds (discussing CDS market and participants in CDS market)

3

smaller trades If a dealer offsets large protection selling trades with many

smaller protection buying trades a flat order book may not be characterized by an

equal number of buy and sell transactions In addition a dealer may offset trades

on indexes with a number of trades in single-name CDS which could also result

in an unequal number of buy and sell transactions

5 Whether an entityrsquos frequency of posting initial margin on orders occurs in less

than 10 of their aggregate transactions This criterion reflects the expectation

that in general dealers are less likely to post initial margin when trading CDS

particularly in dealer-to-dealer transactions A limitation of this analysis is that

reporting initial margin to DTCC-TIW is voluntary Therefore since this filter

may capture entities that in fact post margin but choose not to report the criterion

may be over-indicative of dealing activity

4

Methodology

To illustrate the number of persons who may be engaged in dealing activity involving

security-based swaps the analyses that follow include both histograms and tables for

each criterion Histograms are a heuristic method of representing the underlying data In

this analysis they are constructed to show the frequency (ie number) of potential

dealers who satisfy a particular criterion as measured at discrete intervals based on their

aggregate gross notional transaction amounts6 over the 12-month period ending on

December 31 2011 The discrete intervals (ldquobinsrdquo) are chosen so that the distribution is

sufficiently granular to permit inferences about possible de minimis threshold levels yet

wide enough to allow the shape of the distribution to emerge

Each histogram depicts the percentage of total entities accounted for by each notional bin

in graphical and tabular form The tables also report the percentage of notional as an

additional element This allows for inference as to the effect on the percentage of total

entities or total notional resulting from different choices for the value of the de minimis

exception

Finally this analysis reflects the state of the single-name credit default swap market in

2011 prior to the implementation of most of the provisions of Title VII of the Dodd-

Frank Act The full implementation of Title VII ndash including the implementation of

registration requirements for security-based swap dealers and an exception that would

permit some market participants to engage in unregulated dealing activity up to a de

minimis amount ndash may be expected to change the market This analysis does not seek to

predict those changes

6 The analysis in this memo aggregates account-level data to the corporate parent or transacting agent For example a corporate parent can transact through multiple accounts similarly an investment adviser can act as the transacting agent for multiple client accounts However for the purposes of the special entity analysis we have calculated 12-month notional at the account level to avoid pooling special entity transactions with non-special entity transactions

5

1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

50

100

150

200

250

300

350

400

450

500

Figure 1 Distribution of CDS Participants based on 12-Month Notional

All Entities

6

Table 1 12-Month Notional for All Entities

Notional Bin Entities of Entities Notional of Notional

$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418

Total 1084 $ 1262848

7

Table 2a 12-Month Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

a Transactions with 20 or more unique counterparties

0

2

4

6

8

10

Figure 2a Distribution of CDS Participants based on 12-Month Notional

Entities with 20 or More Counterparties

8

Table 2b 12-Month Notional for Entities with 15 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

1

1

1

0

0

0

2

1

8

2

2

0

6

9

000

000

000

303

303

303

000

000

000

606

303

2424

606

606

000

1818

2727

$ -

$ -

$ -

$ 219

$ 348

$ 471

$ -

$ -

$ -

$ 1782

$ 943

$ 11468

$ 6948

$ 10579

$ -

$ 164679

$ 936744

000

000

000

002

003

004

000

000

000

016

008

101

061

093

000

1452

8259

Total 33 $ 1134181

b Transactions with 15 or more unique counterparties

0

2

4

6

8

10

Figure 2b Distribution of CDS Participants based on 12-Month Notional

Entities with 15 or More Counterparties

9

Table 2c 12-Month Notional for Entities with 10 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

18

23

20

16

6

7

6

2

4

3

27

3

3

1

6

9

000

1169

1494

1299

1039

390

455

390

130

260

195

1753

195

195

065

390

584

$ -

$ 1022

$ 3227

$ 4799

$ 5456

$ 2780

$ 3881

$ 3962

$ 1468

$ 3435

$ 2828

$ 43368

$ 9820

$ 17263

$ 8637

$ 164679

$ 936744

000

008

027

040

045

023

032

033

012

028

023

357

081

142

071

1357

7720

Total 154 $ 1213368

c Transactions with 10 or more unique counterparties

0 5 10 15 20 25 30

Figure 2c Distribution of CDS Participants based on 12-Month Notional

Entities with 10 or More Counterparties

10

3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

11

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

Methodology

To illustrate the number of persons who may be engaged in dealing activity involving

security-based swaps the analyses that follow include both histograms and tables for

each criterion Histograms are a heuristic method of representing the underlying data In

this analysis they are constructed to show the frequency (ie number) of potential

dealers who satisfy a particular criterion as measured at discrete intervals based on their

aggregate gross notional transaction amounts6 over the 12-month period ending on

December 31 2011 The discrete intervals (ldquobinsrdquo) are chosen so that the distribution is

sufficiently granular to permit inferences about possible de minimis threshold levels yet

wide enough to allow the shape of the distribution to emerge

Each histogram depicts the percentage of total entities accounted for by each notional bin

in graphical and tabular form The tables also report the percentage of notional as an

additional element This allows for inference as to the effect on the percentage of total

entities or total notional resulting from different choices for the value of the de minimis

exception

Finally this analysis reflects the state of the single-name credit default swap market in

2011 prior to the implementation of most of the provisions of Title VII of the Dodd-

Frank Act The full implementation of Title VII ndash including the implementation of

registration requirements for security-based swap dealers and an exception that would

permit some market participants to engage in unregulated dealing activity up to a de

minimis amount ndash may be expected to change the market This analysis does not seek to

predict those changes

6 The analysis in this memo aggregates account-level data to the corporate parent or transacting agent For example a corporate parent can transact through multiple accounts similarly an investment adviser can act as the transacting agent for multiple client accounts However for the purposes of the special entity analysis we have calculated 12-month notional at the account level to avoid pooling special entity transactions with non-special entity transactions

5

1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

50

100

150

200

250

300

350

400

450

500

Figure 1 Distribution of CDS Participants based on 12-Month Notional

All Entities

6

Table 1 12-Month Notional for All Entities

Notional Bin Entities of Entities Notional of Notional

$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418

Total 1084 $ 1262848

7

Table 2a 12-Month Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

a Transactions with 20 or more unique counterparties

0

2

4

6

8

10

Figure 2a Distribution of CDS Participants based on 12-Month Notional

Entities with 20 or More Counterparties

8

Table 2b 12-Month Notional for Entities with 15 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

1

1

1

0

0

0

2

1

8

2

2

0

6

9

000

000

000

303

303

303

000

000

000

606

303

2424

606

606

000

1818

2727

$ -

$ -

$ -

$ 219

$ 348

$ 471

$ -

$ -

$ -

$ 1782

$ 943

$ 11468

$ 6948

$ 10579

$ -

$ 164679

$ 936744

000

000

000

002

003

004

000

000

000

016

008

101

061

093

000

1452

8259

Total 33 $ 1134181

b Transactions with 15 or more unique counterparties

0

2

4

6

8

10

Figure 2b Distribution of CDS Participants based on 12-Month Notional

Entities with 15 or More Counterparties

9

Table 2c 12-Month Notional for Entities with 10 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

18

23

20

16

6

7

6

2

4

3

27

3

3

1

6

9

000

1169

1494

1299

1039

390

455

390

130

260

195

1753

195

195

065

390

584

$ -

$ 1022

$ 3227

$ 4799

$ 5456

$ 2780

$ 3881

$ 3962

$ 1468

$ 3435

$ 2828

$ 43368

$ 9820

$ 17263

$ 8637

$ 164679

$ 936744

000

008

027

040

045

023

032

033

012

028

023

357

081

142

071

1357

7720

Total 154 $ 1213368

c Transactions with 10 or more unique counterparties

0 5 10 15 20 25 30

Figure 2c Distribution of CDS Participants based on 12-Month Notional

Entities with 10 or More Counterparties

10

3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

11

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

50

100

150

200

250

300

350

400

450

500

Figure 1 Distribution of CDS Participants based on 12-Month Notional

All Entities

6

Table 1 12-Month Notional for All Entities

Notional Bin Entities of Entities Notional of Notional

$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418

Total 1084 $ 1262848

7

Table 2a 12-Month Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

a Transactions with 20 or more unique counterparties

0

2

4

6

8

10

Figure 2a Distribution of CDS Participants based on 12-Month Notional

Entities with 20 or More Counterparties

8

Table 2b 12-Month Notional for Entities with 15 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

1

1

1

0

0

0

2

1

8

2

2

0

6

9

000

000

000

303

303

303

000

000

000

606

303

2424

606

606

000

1818

2727

$ -

$ -

$ -

$ 219

$ 348

$ 471

$ -

$ -

$ -

$ 1782

$ 943

$ 11468

$ 6948

$ 10579

$ -

$ 164679

$ 936744

000

000

000

002

003

004

000

000

000

016

008

101

061

093

000

1452

8259

Total 33 $ 1134181

b Transactions with 15 or more unique counterparties

0

2

4

6

8

10

Figure 2b Distribution of CDS Participants based on 12-Month Notional

Entities with 15 or More Counterparties

9

Table 2c 12-Month Notional for Entities with 10 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

18

23

20

16

6

7

6

2

4

3

27

3

3

1

6

9

000

1169

1494

1299

1039

390

455

390

130

260

195

1753

195

195

065

390

584

$ -

$ 1022

$ 3227

$ 4799

$ 5456

$ 2780

$ 3881

$ 3962

$ 1468

$ 3435

$ 2828

$ 43368

$ 9820

$ 17263

$ 8637

$ 164679

$ 936744

000

008

027

040

045

023

032

033

012

028

023

357

081

142

071

1357

7720

Total 154 $ 1213368

c Transactions with 10 or more unique counterparties

0 5 10 15 20 25 30

Figure 2c Distribution of CDS Participants based on 12-Month Notional

Entities with 10 or More Counterparties

10

3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

11

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

Table 1 12-Month Notional for All Entities

Notional Bin Entities of Entities Notional of Notional

$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418

Total 1084 $ 1262848

7

Table 2a 12-Month Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

a Transactions with 20 or more unique counterparties

0

2

4

6

8

10

Figure 2a Distribution of CDS Participants based on 12-Month Notional

Entities with 20 or More Counterparties

8

Table 2b 12-Month Notional for Entities with 15 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

1

1

1

0

0

0

2

1

8

2

2

0

6

9

000

000

000

303

303

303

000

000

000

606

303

2424

606

606

000

1818

2727

$ -

$ -

$ -

$ 219

$ 348

$ 471

$ -

$ -

$ -

$ 1782

$ 943

$ 11468

$ 6948

$ 10579

$ -

$ 164679

$ 936744

000

000

000

002

003

004

000

000

000

016

008

101

061

093

000

1452

8259

Total 33 $ 1134181

b Transactions with 15 or more unique counterparties

0

2

4

6

8

10

Figure 2b Distribution of CDS Participants based on 12-Month Notional

Entities with 15 or More Counterparties

9

Table 2c 12-Month Notional for Entities with 10 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

18

23

20

16

6

7

6

2

4

3

27

3

3

1

6

9

000

1169

1494

1299

1039

390

455

390

130

260

195

1753

195

195

065

390

584

$ -

$ 1022

$ 3227

$ 4799

$ 5456

$ 2780

$ 3881

$ 3962

$ 1468

$ 3435

$ 2828

$ 43368

$ 9820

$ 17263

$ 8637

$ 164679

$ 936744

000

008

027

040

045

023

032

033

012

028

023

357

081

142

071

1357

7720

Total 154 $ 1213368

c Transactions with 10 or more unique counterparties

0 5 10 15 20 25 30

Figure 2c Distribution of CDS Participants based on 12-Month Notional

Entities with 10 or More Counterparties

10

3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

11

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

Table 2a 12-Month Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

a Transactions with 20 or more unique counterparties

0

2

4

6

8

10

Figure 2a Distribution of CDS Participants based on 12-Month Notional

Entities with 20 or More Counterparties

8

Table 2b 12-Month Notional for Entities with 15 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

1

1

1

0

0

0

2

1

8

2

2

0

6

9

000

000

000

303

303

303

000

000

000

606

303

2424

606

606

000

1818

2727

$ -

$ -

$ -

$ 219

$ 348

$ 471

$ -

$ -

$ -

$ 1782

$ 943

$ 11468

$ 6948

$ 10579

$ -

$ 164679

$ 936744

000

000

000

002

003

004

000

000

000

016

008

101

061

093

000

1452

8259

Total 33 $ 1134181

b Transactions with 15 or more unique counterparties

0

2

4

6

8

10

Figure 2b Distribution of CDS Participants based on 12-Month Notional

Entities with 15 or More Counterparties

9

Table 2c 12-Month Notional for Entities with 10 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

18

23

20

16

6

7

6

2

4

3

27

3

3

1

6

9

000

1169

1494

1299

1039

390

455

390

130

260

195

1753

195

195

065

390

584

$ -

$ 1022

$ 3227

$ 4799

$ 5456

$ 2780

$ 3881

$ 3962

$ 1468

$ 3435

$ 2828

$ 43368

$ 9820

$ 17263

$ 8637

$ 164679

$ 936744

000

008

027

040

045

023

032

033

012

028

023

357

081

142

071

1357

7720

Total 154 $ 1213368

c Transactions with 10 or more unique counterparties

0 5 10 15 20 25 30

Figure 2c Distribution of CDS Participants based on 12-Month Notional

Entities with 10 or More Counterparties

10

3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

11

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

Table 2b 12-Month Notional for Entities with 15 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

1

1

1

0

0

0

2

1

8

2

2

0

6

9

000

000

000

303

303

303

000

000

000

606

303

2424

606

606

000

1818

2727

$ -

$ -

$ -

$ 219

$ 348

$ 471

$ -

$ -

$ -

$ 1782

$ 943

$ 11468

$ 6948

$ 10579

$ -

$ 164679

$ 936744

000

000

000

002

003

004

000

000

000

016

008

101

061

093

000

1452

8259

Total 33 $ 1134181

b Transactions with 15 or more unique counterparties

0

2

4

6

8

10

Figure 2b Distribution of CDS Participants based on 12-Month Notional

Entities with 15 or More Counterparties

9

Table 2c 12-Month Notional for Entities with 10 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

18

23

20

16

6

7

6

2

4

3

27

3

3

1

6

9

000

1169

1494

1299

1039

390

455

390

130

260

195

1753

195

195

065

390

584

$ -

$ 1022

$ 3227

$ 4799

$ 5456

$ 2780

$ 3881

$ 3962

$ 1468

$ 3435

$ 2828

$ 43368

$ 9820

$ 17263

$ 8637

$ 164679

$ 936744

000

008

027

040

045

023

032

033

012

028

023

357

081

142

071

1357

7720

Total 154 $ 1213368

c Transactions with 10 or more unique counterparties

0 5 10 15 20 25 30

Figure 2c Distribution of CDS Participants based on 12-Month Notional

Entities with 10 or More Counterparties

10

3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

11

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

Table 2c 12-Month Notional for Entities with 10 or More Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

18

23

20

16

6

7

6

2

4

3

27

3

3

1

6

9

000

1169

1494

1299

1039

390

455

390

130

260

195

1753

195

195

065

390

584

$ -

$ 1022

$ 3227

$ 4799

$ 5456

$ 2780

$ 3881

$ 3962

$ 1468

$ 3435

$ 2828

$ 43368

$ 9820

$ 17263

$ 8637

$ 164679

$ 936744

000

008

027

040

045

023

032

033

012

028

023

357

081

142

071

1357

7720

Total 154 $ 1213368

c Transactions with 10 or more unique counterparties

0 5 10 15 20 25 30

Figure 2c Distribution of CDS Participants based on 12-Month Notional

Entities with 10 or More Counterparties

10

3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

11

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

11

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

a Transactions with 7 or more counterparties excepting ISDA-recognized dealers

02468

10

Figure 3a Distribution of CDS Participants based on 12-Month Notional

Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

0

0

0

0

0

0

0

0

0

0

1

1

0

0

5

9

000

000

000

000

000

000

000

000

000

000

000

625

625

000

000

3125

5625

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ -

$ 1666

$ 3261

$ -

$ -

$ 149593

$ 936744

000

000

000

000

000

000

000

000

000

000

000

015

030

000

000

1371

8584

Total 16 $ 1091264

12

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

b Transactions with 5 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3b Distribution of CDS Participants based on 12-Month Notional

Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million

$01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

1

0

0

0

1

0

0

0

1

0

1

1

1

0

5

9

000

500

000

000

000

500

000

000

000

500

000

500

500

500

000

2500

4500

$ -

$ 049

$ -

$ -

$ -

$ 471

$ -

$ -

$ -

$ 883

$ -

$ 1666

$ 3261

$ 5503

$ -

$ 149593

$ 936744

000

000

000

000

000

004

000

000

000

008

000

015

030

050

000

1362

8530

Total 20 $ 1098170

13

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

c Transactions with 3 or more counterparties excepting ISDA-recognized dealers

0

2

4

6

8

10

Figure 3c Distribution of CDS Participants based on 12-Month Notional

Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties

Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion

$1-2 billion

$2-3 billion

$3-4 billion

$4-5 billion

$5-6 billion

$6-7 billion

$7-8 billion

$8-9 billion

$9-10 billion

$10-25 billion

$25-50 billion

$50-75 billion

$75-100 billion

$100-500 billion

gt $500 billion

0

2

0

1

1

1

0

0

0

2

0

4

1

1

0

6

9

000

714

000

357

357

357

000

000

000

714

000

1429

357

357

000

2143

3214

$ -

$ 140

$ -

$ 219

$ 399

$ 471

$ -

$ -

$ -

$ 1782

$ -

$ 5004

$ 3261

$ 5503

$ -

$ 164679

$ 936744

000

001

000

002

004

004

000

000

000

016

000

045

029

049

000

1473

8377

Total 28 $ 1118203

14

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

Figure 4 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Notional Book

Table 4 12-Month Notional for Entities with Flat Notional Book

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2410 $ 081 001

$01-1 billion 24 2892 $ 1018 011

$1-2 billion 5 602 $ 698 007

$2-3 billion 2 241 $ 448 005

$3-4 billion 4 482 $ 1377 014

$4-5 billion 4 482 $ 1891 020

$5-6 billion 0 000 $ - 000

$6-7 billion 2 241 $ 1338 014

$7-8 billion 0 000 $ - 000

$8-9 billion 0 000 $ - 000

$9-10 billion 0 000 $ - 000

$10-25 billion 6 723 $ 8327 086

$25-50 billion 0 000 $ - 000

$50-75 billion 2 241 $ 12187 126

$75-100 billion 0 000 $ - 000

$100-500 billion 6 723 $ 164679 1706

gt $500 billion 8 964 $ 773527 8011

Total 83 $ 965572

15

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0

5

10

15

20

25

30

35

Figure 5 Distribution of CDS Participants based on 12-Month Notional

Entities with Flat Transaction Volume

Table 5 12-Month Notional for Entities with Flat Transaction Volume

Notional Bin Entities of Entities Notional of Notional

$0-100 million 20 2151 $ 081 001

$01-1 billion 29 3118 $ 1255 011

$1-2 billion 8 860 $ 1109 010

$2-3 billion 3 323 $ 697 006

$3-4 billion 5 538 $ 1671 015

$4-5 billion 4 430 $ 1891 017

$5-6 billion 0 000 $ - 000

$6-7 billion 0 000 $ - 000

$7-8 billion 0 000 $ - 000

$8-9 billion 1 108 $ 899 008

$9-10 billion 0 000 $ - 000

$10-25 billion 6 645 $ 9160 081

$25-50 billion 0 000 $ - 000

$50-75 billion 2 215 $ 12187 108

$75-100 billion 0 000 $ - 000

$100-500 billion 6 645 $ 164679 1457

gt $500 billion 9 968 $ 936744 8287

Total 93 $ 1130375

16

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin

0 50

100 150 200 250

Figure 6 Distribution of CDS Participants based on 12-Month Notional

Entities with Low Frequency of Posting Initial Margin

Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

210 156

36 19 10 6 3 3 1 2 1 8 2 1 1 6 8

44403298

761402211127063063021042021169042021021127169

$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527

007 059 053 046 036 027 016 020 007 018 009 109 060 055 086

1649 7744

Total 473 $ 998867

17

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

Analysis of Combined Criteria

Each of the above analyses is designed to inform on the number of entities that would be

captured by alternative criteria and definitions of trading activity While each of the

alterative analyses may indicate dealing activity there may be limitations that could lead

any single criterion to mis-specify dealing activity The analysis below provides the

number of entities that meet various combinations of the criteria Figure 7 identifies

participants passing any two of the dealing criteria and Figure 8 identifies participants

passing any three of the dealing criteria For purposes of this analysis we increase the

lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer

counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total

entities and the percentage of total notional accounted for by each notional bin

18

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

0

5

10

15

20

25

30

Figure 7 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Two Criteria

Table 7 12-Month Notional for Entities Passing At Least Two Criteria

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

16 26

7 3 5 4 0 1 0 2 1 9 1 2 0 6 9

17392826

761326543435000109000217109978109217000652978

$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744

001 010 009 006 015 017 000 006 000 016 008 118 029 107 000

1444 8215

Total 92 $ 1140243

19

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

0123456789 10

Figure 8 Distribution of CDS Participants based on 12-Month Notional

Entities Passing At Least Three Criteria

20

Table 8 12-Month Notional for Entities Passing At Least Three Criteria

Notional Bucket Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9

12201220488488488488000000000488000976244244000

14632195

$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744

000 002 003 004 006 009 000 000 000 016 000 048 029 049 000

1470 8364

Total 41 $ 1119938

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

Special Entity Analysis

Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8

Table 9 12-Month Notional for Counterparties (CPs) to Special Entities

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

1 1 0 0 5 2 1 1 1 2 1 0 1 0 0

625625000000

31251250625625625

1250625000625000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $

001 004

- -

329 299 213 314 411

1077 624

- 811

- -

002 009 000 000 807 733 521 768

1007 2637 1529

000 1987

000 000

Total 16 $ 4082

7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion

21

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants

This section provides tables of aggregate gross notional positions for all entities except

for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate

gross notional positions are calculated on a monthly basis by summing gross notional buy

and sell positions and then averaging over the entire 12-month period ending December

31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are

not a part of major participant regulation The analysis also excludes ICE In addition to

providing information about aggregate gross notional positions we separately report

gross notional buy and sell positions for those entities that have bought and sold credit

protection over the same period Collectively this information may reasonably be

expected to predict the number of entities that need to determine whether they qualify as

major security-based swap participants by virtue of having a ldquopotential future exposurerdquo

sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo

for purposes of the analysis

22

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

1 Aggregate gross notional positions

For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 10 Average Aggregate Gross Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

646 357

70 30 15 9 9 4

13 2 1

20 8 1 2 1 0

54383005

589253126076076034109017008168067008017008000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1933 12657

9370 7537 5192 4020 4881 2608 9612 1784 927

31439 27786

5724 19051 13519

-

122 801 593 477 329 254 309 165 608 113 059

1989 1758

362 1205

855 000

Total 1188 $ 158039

23

2 Aggregate gross notional positions for entities buying credit protection

For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 11 Average Aggregate Buy Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

632 322

59 22 12 9 6 6 2 4 2

17 2 1 0 0 0

57662938

538201109082055055018036018155018009000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1722 11686

7852 5596 4473 4021 3327 3849 1517 3284 1899

23843 7690 6492

- - -

197 1339

900 641 513 461 381 441 174 376 218

2733 881 744 000

000 000

Total 1096 $ 87250

24

3 Aggregate gross notional positions for entities selling credit protection

For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 12 Average Aggregate Sell Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

546 179

27 12

8 5 5 3 1 2 4

11 2 1 1 0 0

67662218335149099062062037012025050136025012012000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1250 6389 3806 2982 2641 2253 2666 1965 759

1794 3688

17642 7539 7027 8389

- -

177 902 538 421 373 318 377 278 107 253 521

2492 1065

993 1185 000 000

Total 807 $ 70789

25

Appendix

Table A-1 12-Month Index CDS Notional for All Entities

26

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

285 339

86 47 26 16 7

15 10 6 7

33 24 9 3 11

13

30423618

918502277171075160107064075352256096032117139

$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657

004 037 036 035 026 022 011 029 022 015 020 143 240 160 076

572 8552

Total 937 $ 3419860

Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2

13

000000000000000000000000000000000588588000000

11767647

$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657

000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143

9833

Total 17 $ 2974221

27

Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties

28

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592

Total 25 $ 3048926

Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties

29

$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853

Total 103 $ 3303647

Notional Bin Entities of Entities Notional of Notional

Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833

Total 17 $ 2974221

30

Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties

31

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830

Total 18 $ 2975221

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

3 Aggregate gross notional positions for entities selling credit protection

For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust

Table 12 Average Aggregate Sell Notional Positions

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

546 179

27 12

8 5 5 3 1 2 4

11 2 1 1 0 0

67662218335149099062062037012025050136025012012000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1250 6389 3806 2982 2641 2253 2666 1965 759

1794 3688

17642 7539 7027 8389

- -

177 902 538 421 373 318 377 278 107 253 521

2492 1065

993 1185 000 000

Total 807 $ 70789

25

Appendix

Table A-1 12-Month Index CDS Notional for All Entities

26

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

285 339

86 47 26 16 7

15 10 6 7

33 24 9 3 11

13

30423618

918502277171075160107064075352256096032117139

$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657

004 037 036 035 026 022 011 029 022 015 020 143 240 160 076

572 8552

Total 937 $ 3419860

Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2

13

000000000000000000000000000000000588588000000

11767647

$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657

000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143

9833

Total 17 $ 2974221

27

Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties

28

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592

Total 25 $ 3048926

Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties

29

$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853

Total 103 $ 3303647

Notional Bin Entities of Entities Notional of Notional

Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833

Total 17 $ 2974221

30

Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties

31

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830

Total 18 $ 2975221

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Appendix

Table A-1 12-Month Index CDS Notional for All Entities

26

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

285 339

86 47 26 16 7

15 10 6 7

33 24 9 3 11

13

30423618

918502277171075160107064075352256096032117139

$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657

004 037 036 035 026 022 011 029 022 015 020 143 240 160 076

572 8552

Total 937 $ 3419860

Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2

13

000000000000000000000000000000000588588000000

11767647

$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657

000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143

9833

Total 17 $ 2974221

27

Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties

28

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592

Total 25 $ 3048926

Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties

29

$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853

Total 103 $ 3303647

Notional Bin Entities of Entities Notional of Notional

Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833

Total 17 $ 2974221

30

Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties

31

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830

Total 18 $ 2975221

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2

13

000000000000000000000000000000000588588000000

11767647

$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657

000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143

9833

Total 17 $ 2974221

27

Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties

28

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592

Total 25 $ 3048926

Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties

29

$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853

Total 103 $ 3303647

Notional Bin Entities of Entities Notional of Notional

Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833

Total 17 $ 2974221

30

Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties

31

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830

Total 18 $ 2975221

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties

28

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592

Total 25 $ 3048926

Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties

29

$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853

Total 103 $ 3303647

Notional Bin Entities of Entities Notional of Notional

Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833

Total 17 $ 2974221

30

Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties

31

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830

Total 18 $ 2975221

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties

29

$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853

Total 103 $ 3303647

Notional Bin Entities of Entities Notional of Notional

Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833

Total 17 $ 2974221

30

Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties

31

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830

Total 18 $ 2975221

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833

Total 17 $ 2974221

30

Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties

31

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830

Total 18 $ 2975221

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties

31

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830

Total 18 $ 2975221

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

32

Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties

Notional Bin Entities of Entities Notional of Notional

$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690

Total 24 $ 3018085

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book

33

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 32

5 5 3 3 3 5 2 0 2

10 3 2 0 6

13

13762936459459275275275459183000183917275183000550

1193

$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657

000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380

9454

Total 109 $ 3093689

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume

34

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

15 29

8 6 2 2 3 2 1 1 3

12 5 1 1 8

13

13392589714536179179268179089089268

1071446089089714

1161

$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657

000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449

9348

Total 112 $ 3128718

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

123 131

46 18 12 9 3 6 6 4 4

12 10 5 0 6

10

303732351136444296222074148148099099296247123000148247

$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854

002 020 027 018 016 017 007 016 018 014 015 077 138 122 000

402 9091

Total 405 $ 2507800

35

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria

36

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

17 31

7 4 3 3 3 4 2 0 2

11 4 2 0 8

13

14912719614351263263263351175000175965351175000702

1140

$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657

000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450

9366

Total 114 $ 3122498

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria

37

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4

13

9301395233000233233233465233000233

1395233233000930

3023

$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657

000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240

9678

Total 43 $ 3022093

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities

38

Notional Bin CPs of CPs Notional of Notional

$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion

gt $10 billion

0 0 1 0 0 3 1 0 0 1 0 1 0 0 8

000000667000000

2000667000000667000667000000

5333

$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -

$ 18661

000 000 003 000 000 178 115 000 000 273 000 376 000 000

9054

Total 15 $ 20610

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-10 Aggregate Index CDS gross notional positions

39

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

563 299

46 14 19 9 5 2 4 6 3

16 8 1 1 0 0

56533002

462141191090050020040060030161080010010000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1735 10273

6546 3478 6634 4018 2837 1372 2963 5069 2921

28255 32169

7052 9709

- -

139 822 524 278 531 321 227 110 237 405 234

2260 2573 564 777

000 000

Total 996 $ 125031

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

40

Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

555 257

35 11 7

12 3 1 4 1 1

16 0 1 0 0 0

61392843

387122077133033011044011011177000011000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

1586 8795 5008 2747 2461 5375 1694

683 2976

854 923

25370 -

5058 - - -

250 1384

788 432 387 846 267 108 468 134 145

3994 000 796 000

000 000

Total 904 $ 63529

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41

Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection

Notional Bin Entities of Entities Notional of Notional

$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion

$100-500 billion gt $500 billion

411 170

25 16 10 6 3 2 1 2 2

14 1 1 0 0 0

61902560

377241151090045030015030030211015015000000000

$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $

970 5591 3707 3830 3530 2779 1658 1335

764 1747 1892

22850 4651 6199

- - -

158 909 603 623 574 452 270 217 124 284 308

3715 756

1008 000

000 000

Total 664 $ 61502

41